Articles by OSM

I like to MVO it!

July 31, 2020 | 0 Comments

In our last post, we ran through a bunch of weighting scenarios using our returns simulation. This resulted in three million portfolios comprised in part, or total, of four assets: stocks, bonds, gold, and real estate. These simulations relaxed the allocation constraints to allow us to exclude assets, yielding a ...
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Weighting on a friend

July 24, 2020 | 0 Comments

Our last few posts on portfolio construction have simulated various weighting schemes to create a range of possible portfolios. We’ve then chosen portfolios whose average weights yield the type of risk and return we’d like to achieve. However, we’ve noted there is more to portfolio construction than ...
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Python-bloggers

July 10, 2020 | 0 Comments

Python-bloggers aggregates blogs focused on using Python’s data analysis super-power for data science, machine learning, and statistics. Brought to you by the same folks that publish the hugely popular R-bloggers, it is well worth a read. Check it o... [...Read more...]

Testing expectations

July 10, 2020 | 0 Comments

In our last post, we analyzed the performance of our portfolio, built using the historical average method to set return expectations. We calculated return and risk contributions and examined changes in allocation weights due to asset performance. We...
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Quantocracy

July 9, 2020 | 0 Comments

Quantocracy is a great resource for all things related to quantitative and empirical investing. We learn something every time we visit. Expand your knowledge here!
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R-bloggers

July 9, 2020 | 0 Comments

R-bloggers is a great resource. We visit the website almost every day. Shouldn’t you? Have a look https://www.r-bloggers.com/. [...Read more...]

Performance anxiety

June 25, 2020 | 0 Comments

In our last post, we took a quick look at building a portfolio based on the historical averages method for setting return expectations. Beginning in 1987, we used the first five years of monthly return data to simulate a thousand possible portfolio ...
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Portfolio simulations

June 12, 2020 | 0 Comments

In our last post, we compared the three most common methods used to set return expectations prior to building a portfolio. Of the three—historical averages, discounted cash flow models, and risk premia models—no single method dominated the others on...
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Mad methods

May 29, 2020 | 0 Comments

Over the past few weeks, we’ve examined the three major methods used to set return expectations as part of the portfolio allocation process. Those methods were historical averages, discounted cash flow models, and risk premia models. Today, we’ll bring all these models together to compare and contrast their ...
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Implied risk premia

May 15, 2020 | 0 Comments

In our last post, we applied machine learning to the Capital Aset Pricing Model (CAPM) to try to predict future returns for the S&P 500. This analysis was part of our overall project to analyze the various methods to set return expectations when seeking to build a satisfactory portfolio. Others ...
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